I should warn, this only works with BES/MDS or when your carrier upgrades to the 4.0 software.

I also got Space Invaders and Minesweeper over the air too, from this site:
http://midlet.org/category.jsp?parentLevel=1

Via more complex install steps (Rather than Over-The-Air download), many of the games work even if you do not have MDS but you will have to "Save To Disk" and then follow more complex instructions using javaloader.exe (convert .jad/.jar to .cod first).